All CL

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 (3) (1.5) 39 (1) 9 (8) (35) (1) 90
60 3 1.6 49 1 8 (6) (35) (1) 95
120 0 0.3 48 0 7 (6) (35) (1) 93
250 1 0.6 52 0 10 (9) (48) (2) 96
500 9 2.9 55 3 15 (10) (77) (2) 96
760 9 3 55 3 14 (9) (77) (2) 96
1260 5 2.1 51 2 11 (7) (91) (3) 96
2520 6 2.2 51 2 12 (8) (91) (3) 97
All 5 1.9 51 1 11 (8) (113) (3) 96

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 0.9 0.5 0.6 0.4 0.1 (0.1) 0.8 0.4 0 0.1 0.2 1.3 5.4 1.9 51.6 239.6 (0.6) (1.6) 0.4 0.2
2017 (0.3) (0.1) 0.8 (0.6) 0.5 0 0 0 0 0 0 0 0.3 0.6 47.1 87 (0.4) (0.8) 0.3 0.1
2016 3.5 2.2 2.1 1.6 (0.2) (0.1) 1.8 (0.2) 0.3 (0.2) (0.5) (0.2) 10.1 2.9 58.1 246 (0.8) (1.5) 0.4 0.2
2015 0.8 (0.4) 1.3 1.1 (0.1) (0.6) 2.3 1.9 0.1 (1.1) 0.7 3 9 3.1 53.8 241 (0.5) (2) 0.4 0.2
2014 0.3 0.5 (0.4) (0.1) 0 0.1 (0.4) 0.2 (0.3) 1.4 1 4.6 6.9 3 55 246 (0.3) (1.2) 0.4 0.2
2013 0.4 (0.3) 0 (0.6) 0.2 (0.3) 0.3 (0.7) (0.1) (0.1) 0.2 (0.7) (1.7) (0.9) 41.9 231 (0.9) (2.5) 0.4 0.1
2012 (0.3) 0.7 (0.1) (0.1) 0.8 0.6 0.2 0.9 (0.2) 0.5 (0.2) 0 2.8 1.6 49.4 234 (0.3) (0.7) 0.3 0.1
2011 0.1 0.7 0.5 (0.3) 1.3 0.8 (0.1) 1.1 1.2 (0.9) 0.4 (0.1) 4.7 2 46.8 226 (0.4) (1.6) 0.4 0.1
2010 (0.7) 0.1 0 (0.2) 1 (0.2) 0 (0.1) (0.3) (0.4) (0.9) (0.1) (1.8) (1.2) 43.1 228 (0.3) (2.7) 0.4 0.1
2009 (0.5) 1.5 (0.3) 0.9 1.9 0.4 1.8 0.1 (0.3) 1 0.1 1.2 7.8 2.5 53.9 226 (0.7) (1.3) 0.4 0.1
2008 (0.4) 0.5 0.3 1.3 0.7 0.7 0.6 0.5 1.6 3.5 2.4 6.3 18 4.1 59.1 254 (0.8) (1.8) 0.5 0.2
2007 0 0 0.4 (0.5) (0.4) 0.7 0.6 0.3 1.1 0.3 0.5 0.6 3.6 2.2 55.1 239 (0.4) (1.3) 0.4 0.1
2006 0.2 0 0 0.5 (0.3) (0.4) (0.3) (0.1) 1.6 0.3 (0.2) (0.2) 1.1 0.6 48.4 239 (0.4) (1.8) 0.4 0.1
2005 0.3 0.4 0.5 0 0.1 0.1 0.3 0.2 (0.6) (0.5) 0.5 (1.1) 0.2 0.1 51.4 241 (0.4) (2.4) 0.4 0.2
2004 0.2 0.5 0.7 (0.3) 0.5 0.2 0.6 (0.1) 0.6 0.4 0.8 1.8 5.9 3 56.6 229 (0.3) (0.9) 0.4 0.1
2003 0.1 1.4 1 1.6 0.4 0.5 (0.1) (0.3) 0.4 0.7 (0.3) (0.3) 5.1 2.5 52.6 232 (0.4) (1) 0.3 0.1
2002 1 0 1.5 0 0 (0.5) 0 0.3 0.6 0 0.1 1.5 4.5 2 51.2 239 (0.5) (1.2) 0.3 0.1
2001 0.2 0 (0.4) 0.1 0.1 0.7 (0.1) (0.4) 2 0.5 1.4 1.2 5.3 1.7 45.9 226 (1.1) (1.5) 0.3 0.1
2000 0.1 0.2 (0.8) 0.4 0.6 0.1 0 0.7 0.8 (1.1) (0.8) 1.8 2 0.8 47.8 235 (0.7) (1.9) 0.4 0.1